Others have commented on GUIs and use of other libraries that exist on only a subset of major platforms.
Another factor is the developers. Many developers (or software companies) only have expertise, access to, customer demand for, or need to use a single platform, and so they don't spend the extra effort to make their software cross-platform. For example, if a company has a Windows PC and developer tools on everybody's desk, no Linux or Mac machines in house to develop or test on, and no developers who are experts on those other platforms, and no large customers demanding a different platform, it's hard for them to justify not just plowing ahead with a Windows-only package. And if they change their mind later, when they have the expertise, equipment, or additional requirements, they may find it's too late to fix a large code base that has been allowed to become very platform-dependent.
Platform-independence takes real effort, every step of the way. If you start from day one with a plan, use cross-platform libraries (e.g., Qt, boost, OpenGL, etc., carefully avoiding MFC, DirectX, etc.), and build and test on all platforms regularly, it's probably only 10-20% more effort to make a good cross-platform app. But if you start with a one-platform app that's been in development for a long time, making it cross-platform can take as much effort as writing it from scratch, and that can be especially hard to justify if the new platform has a comparatively small market share in your industry or if your developers hate working on it.